Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0906 |
| Annualized Std Dev | 0.2735 |
| Annualized Sharpe (Rf=0%) | 0.3312 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3791.0000 |
| NAs | 1.0000 |
| Minimum | -0.1974 |
| Quartile 1 | -0.0065 |
| Median | 0.0010 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0079 |
| Maximum | 0.4313 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0172 |
| Skewness | 3.3726 |
| Kurtosis | 111.5766 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0118 |
| Gain Deviation | 0.0141 |
| Loss Deviation | 0.0130 |
| Downside Deviation (MAR=210%) | 0.0160 |
| Downside Deviation (Rf=0%) | 0.0115 |
| Downside Deviation (0%) | 0.0115 |
| Maximum Drawdown | 0.6492 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0380 |
| Modified VaR (95%) | NA |
| Modified ES (95%) | -0.3498 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-09-19 | 2009-03-06 | 2012-09-13 | -0.6492 | 1005 | 116 | 889 |
| 2018-09-04 | 2020-03-23 | 2020-12-15 | -0.4592 | 576 | 390 | 186 |
| 2007-07-16 | 2008-07-15 | 2008-09-18 | -0.2364 | 294 | 248 | 46 |
| 2015-06-24 | 2016-02-11 | 2016-08-30 | -0.2222 | 300 | 161 | 139 |
| 2006-05-10 | 2006-07-21 | 2006-11-20 | -0.1349 | 124 | 44 | 80 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.3 | -1.2 | 0.2 |
| 2006 | 0.5 | 0.2 | 1.3 | -0.5 | 1.8 | 0.4 | -1.1 | 0.2 | -0.8 | -1.4 | -0.2 | -0.9 | -0.5 |
| 2007 | 0.6 | -0.5 | 0.1 | -0.2 | 0.8 | 0.2 | -0.7 | 1.5 | 1.3 | -3.5 | 0.7 | -0.4 | -0.1 |
| 2008 | 2.8 | -2.7 | 3.2 | 1.7 | 0.2 | 0.1 | 0.2 | -1 | -1.2 | 2.3 | -9.9 | 5.3 | 0.1 |
| 2009 | -2 | -0.8 | 1.3 | 1.3 | 4.7 | 1.3 | 0.4 | -2.8 | -3.3 | -2.7 | 1.5 | -0.8 | -2.3 |
| 2010 | 1.1 | 1.7 | 0.4 | -2.7 | -3.2 | -0.6 | 1.5 | 3.9 | -0.3 | -0.4 | 2.2 | -1.3 | 2 |
| 2011 | 1.8 | -1.5 | 0.5 | 0.2 | -1.3 | 1.7 | -1 | -1.9 | -0.6 | -3.6 | 0.2 | -0.5 | -6 |
| 2012 | 2 | 0.2 | 0 | -0.2 | -2.8 | 3 | -1.7 | 0.4 | 0.3 | 1 | -0.8 | 1.6 | 2.9 |
| 2013 | 1.1 | 0.5 | -1.2 | -2.2 | -1 | 1.2 | 1.2 | -1.4 | 1 | -0.8 | 0.1 | -0.1 | -1.6 |
| 2014 | -0.4 | -0.5 | 1 | -0.2 | -0.5 | 1.4 | 0 | 0.5 | -1.5 | 1.7 | -2.2 | -0.9 | -1.6 |
| 2015 | -1.8 | 0 | -0.3 | 0.5 | 0 | 0.2 | 0.7 | -2.9 | -0.1 | -0.3 | 0.3 | -1.3 | -4.9 |
| 2016 | -0.4 | 2.1 | 0.2 | -0.4 | 0.6 | 0.3 | -0.1 | -0.4 | 0.8 | -1.5 | -0.4 | -0.2 | 0.6 |
| 2017 | -0.1 | 1.7 | 0.1 | 0.6 | 1.7 | -0.1 | 0.3 | 0.8 | 0.1 | -0.5 | -0.8 | -0.6 | 3.2 |
| 2018 | 0.4 | -0.5 | 0.7 | 0.5 | 0.5 | -0.2 | -0.1 | 0.5 | -1.6 | 1.9 | 0.8 | 0.5 | 3.4 |
| 2019 | -0.1 | 0.5 | 1.3 | -0.9 | -1.4 | 0.2 | -1.6 | -0.2 | -1.9 | 1.6 | -0.7 | 0.2 | -2.9 |
| 2020 | -2.3 | -1.5 | -7 | -4.1 | 1.2 | -1.4 | -0.7 | 1.2 | 1.3 | -1.4 | 1.3 | 0.1 | -12.8 |
| 2021 | 1.9 | 3 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.3 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-11-16 26.2 SPY 123. 0.002 0.009 0.0481 0.0106 0.0414 0.351 -0.118 GLD 47.8 0.024 0.0262
2 2005-11-17 26.7 SPY 125. 0.00930 0.0105 0.0406 0.0177 0.0497 0.378 -0.0877 GLD 48.5 0.0147 0.043
3 2005-11-21 27.0 SPY 126. 0.005 0.0167 0.0646 0.0288 0.0659 0.362 -0.0961 GLD 49.0 0.0109 0.0508
4 2005-11-22 27.3 SPY 126. 0.0043 0.0248 0.0529 0.0425 0.0689 0.342 -0.095 GLD 49.3 0.0067 0.057
5 2005-12-05 27.4 SPY 127. -0.0021 0.0028 0.0352 0.0233 0.0618 0.369 -0.0532 GLD 50.8 0.0091 0.0209
6 2005-12-06 27.7 SPY 127. 0.0019 0.00580 0.0386 0.0235 0.0738 0.387 -0.0496 GLD 50.9 0.0022 0.0219
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
